Re: [Gretl-users] RES: Gretl crash
by Allin Cottrell
On Thu, 25 Nov 2010, Bruno Thiago Tomio wrote:
> It was not thru script or prompt (console). I have used the windows
> interface to run the unit root test (ADF test) with the variable X. Then a
> window prompts and you can choose to run the test with constant and trend,
> where the default is with constante. When I try to click the button to
> choose constant and trend, it crashes...
Please make sure you're using the latest build of gretl from
http://gretl.sourceforge.net/win32/
I think that what you describe was a temporary problem in CVS.
Allin Cottrell
13 years, 4 months
Gretl crashes when running a series of TSLS regressions via script
by Yangbo Du
? open /home/yangbodu/Documents/Current/Econ/14.33/HDI_delta.gdt
Read datafile /home/yangbodu/Documents/Current/Econ/14.33/HDI_delta.gdt
periodicity: 1, maxobs: 40
observations range: 1971-2010
Listing 317 variables:
0) const 1) AUS_leb 2) AUT_leb 3) BEL_leb 4) CYP_leb
5) CZE_leb 6) DNK_leb 7) ESP_leb 8) EST_leb 9) FIN_leb
10) FRA_leb 11) DEU_leb 12) GRC_leb 13) HUN_leb 14) IRL_leb
15) ITA_leb 16) JPN_leb 17) KOR_leb 18) LTA_leb 19) LTU_leb
20) LUX_leb 21) MLT_leb 22) NLD_leb 23) POL_leb 24) PRT_leb
25) SVK_leb 26) SVN_leb 27) SWE_leb 28) GBR_leb 29) USA_leb
30) AUS_edu 31) AUT_edu 32) BEL_edu 33) CYP_edu 34) CZE_edu
35) DNK_edu 36) ESP_edu 37) EST_edu 38) FIN_edu 39) FRA_edu
40) DEU_edu 41) GRC_edu 42) HUN_edu 43) IRL_edu 44) ITA_edu
45) JPN_edu 46) KOR_edu 47) LTA_edu 48) LTU_edu 49) LUX_edu
50) MLT_edu 51) NLD_edu 52) POL_edu 53) PRT_edu 54) SVK_edu
55) SVN_edu 56) SWE_edu 57) GBR_edu 58) USA_edu 59) AUS_inc
60) AUT_inc 61) BEL_inc 62) CYP_inc 63) CZE_inc 64) DNK_inc
65) ESP_inc 66) EST_inc 67) FIN_inc 68) FRA_inc 69) DEU_inc
70) GRC_inc 71) HUN_inc 72) IRL_inc 73) ITA_inc 74) JPN_inc
75) KOR_inc 76) LTA_inc 77) LTU_inc 78) LUX_inc 79) MLT_inc
80) NLD_inc 81) POL_inc 82) PRT_inc 83) SVK_inc 84) SVN_inc
85) SWE_inc 86) GBR_inc 87) USA_inc 88) AUS_u5m 89) AUT_u5m
90) BEL_u5m 91) CYP_u5m 92) CZE_u5m 93) DNK_u5m 94) ESP_u5m
95) EST_u5m 96) FIN_u5m 97) FRA_u5m 98) DEU_u5m 99) GRC_u5m
100) HUN_u5m 101) IRL_u5m 102) ITA_u5m 103) JPN_u5m 104) KOR_u5m
105) LTA_u5m 106) LTU_u5m 107) LUX_u5m 108) MLT_u5m 109) NLD_u5m
110) POL_u5m 111) PRT_u5m 112) SVK_u5m 113) SVN_u5m 114) SWE_u5m
115) GBR_u5m 116) USA_u5m 117) AUS_flp 118) AUT_flp 119) BEL_flp
120) CYP_flp 121) CZE_flp 122) DNK_flp 123) ESP_flp 124) EST_flp
125) FIN_flp 126) FRA_flp 127) DEU_flp 128) GRC_flp 129) HUN_flp
130) IRL_flp 131) ITA_flp 132) JPN_flp 133) KOR_flp 134) LTA_flp
135) LTU_flp 136) LUX_flp 137) MLT_flp 138) NLD_flp 139) POL_flp
140) PRT_flp 141) SVK_flp 142) SVN_flp 143) SWE_flp 144) GBR_flp
145) USA_flp 146) AUS_urb 147) AUT_urb 148) BEL_urb 149) CYP_urb
150) CZE_urb 151) DNK_urb 152) ESP_urb 153) EST_urb 154) FIN_urb
155) FRA_urb 156) DEU_urb 157) GRC_urb 158) HUN_urb 159) IRL_urb
160) ITA_urb 161) JPN_urb 162) KOR_urb 163) LTA_urb 164) LTU_urb
165) LUX_urb 166) MLT_urb 167) NLD_urb 168) POL_urb 169) PRT_urb
170) SVK_urb 171) SVN_urb 172) SWE_urb 173) GBR_urb 174) USA_urb
175) AUS_nom 176) AUT_nom 177) BEL_nom 178) CYP_nom 179) CZE_nom
180) DNK_nom 181) ESP_nom 182) EST_nom 183) FIN_nom 184) FRA_nom
185) DEU_nom 186) GRC_nom 187) HUN_nom 188) IRL_nom 189) ITA_nom
190) JPN_nom 191) KOR_nom 192) LTA_nom 193) LTU_nom 194) LUX_nom
195) MLT_nom 196) NLD_nom 197) POL_nom 198) PRT_nom 199) SVK_nom
200) SVN_nom 201) SWE_nom 202) GBR_nom 203) USA_nom 204) AUS_real
205) AUT_real 206) BEL_real 207) CYP_real 208) CZE_real 209) DNK_real
210) ESP_real 211) EST_real 212) FIN_real 213) FRA_real 214) DEU_real
215) GRC_real 216) HUN_real 217) IRL_real 218) ITA_real 219) JPN_real
220) KOR_real 221) LTA_real 222) LTU_real 223) LUX_real 224) MLT_real
225) NLD_real 226) POL_real 227) PRT_real 228) SVK_real 229) SVN_real
230) SWE_real 231) GBR_real 232) USA_real 233) AUS_lebh 234) AUT_lebh
235) BEL_lebh 236) CYP_lebh 237) CZE_lebh 238) DNK_lebh 239) ESP_lebh
240) EST_lebh 241) FIN_lebh 242) FRA_lebh 243) GRC_lebh 244) HUN_lebh
245) IRL_lebh 246) ITA_lebh 247) JPN_lebh 248) KOR_lebh 249) LTA_lebh
250) LTU_lebh 251) LUX_lebh 252) MLT_lebh 253) NLD_lebh 254) POL_lebh
255) PRT_lebh 256) SVK_lebh 257) SVN_lebh 258) SWE_lebh 259) GBR_lebh
260) USA_lebh 261) AUS_eduh 262) AUT_eduh 263) BEL_eduh 264) CYP_eduh
265) CZE_eduh 266) DNK_eduh 267) ESP_eduh 268) EST_eduh 269) FIN_eduh
270) FRA_eduh 271) GRC_eduh 272) HUN_eduh 273) IRL_eduh 274) ITA_eduh
275) JPN_eduh 276) KOR_eduh 277) LTA_eduh 278) LTU_eduh 279) LUX_eduh
280) MLT_eduh 281) NLD_eduh 282) POL_eduh 283) PRT_eduh 284) SVK_eduh
285) SVN_eduh 286) SWE_eduh 287) GBR_eduh 288) USA_eduh 289) AUS_inch
290) AUT_inch 291) BEL_inch 292) CYP_inch 293) CZE_inch 294) DNK_inch
295) ESP_inch 296) EST_inch 297) FIN_inch 298) FRA_inch 299) GRC_inch
300) HUN_inch 301) IRL_inch 302) ITA_inch 303) JPN_inch 304) KOR_inch
305) LTA_inch 306) LTU_inch 307) LUX_inch 308) MLT_inch 309) NLD_inch
310) POL_inch 311) PRT_inch 312) SVK_inch 313) SVN_inch 314) SWE_inch
315) GBR_inch 316) USA_inch
#AUS
? tsls AUS_nom const AUS_lebh AUS_eduh AUS_inch ; const AUS_u5m AUS_flp \
AUS_urb
Model 1: TSLS, using observations 1980-2006 (T = 9)
Missing or incomplete observations dropped: 18
Dependent variable: AUS_nom
Instrumented: AUS_lebh AUS_eduh AUS_inch
Instruments: const AUS_u5m AUS_flp AUS_urb
coefficient std. error z p-value
-------------------------------------------------------
const 0.528844 0.598875 0.8831 0.3772
AUS_lebh -1.04600 2.45215 -0.4266 0.6697
AUS_eduh -0.115336 0.325044 -0.3548 0.7227
AUS_inch 0.760027 3.11467 0.2440 0.8072
Mean dependent var 0.067184 S.D. dependent var 0.035078
Sum squared resid 0.002245 S.E. of regression 0.021190
R-squared 0.772517 Adjusted R-squared 0.636026
F(3, 5) 5.308006 P-value(F) 0.051761
Log-likelihood 158.3239 Akaike criterion -308.6478
Schwarz criterion -307.8589 Hannan-Quinn -310.3502
Hausman test -
Null hypothesis: OLS estimates are consistent
Asymptotic test statistic: Chi-square(3) = 14.2957
with p-value = 0.00252905
Weak instrument test -
Cragg-Donald minimum eigenvalue = 1.01031
Critical values for TSLS bias relative to OLS:
bias 5% 10% 20% 30%
value 0.00 0.00 0.00 0.00
Relative bias is probably less than 5%
? tsls AUS_real const AUS_lebh AUS_eduh AUS_inch ; const AUS_u5m AUS_flp \
AUS_urb
Model 2: TSLS, using observations 1980-2006 (T = 9)
Missing or incomplete observations dropped: 18
Dependent variable: AUS_real
Instrumented: AUS_lebh AUS_eduh AUS_inch
Instruments: const AUS_u5m AUS_flp AUS_urb
coefficient std. error z p-value
--------------------------------------------------------
const 1.55047 0.556491 2.786 0.0053 ***
AUS_lebh 4.96799 2.27860 2.180 0.0292 **
AUS_eduh 0.0280052 0.302039 0.09272 0.9261
AUS_inch -7.62803 2.89424 -2.636 0.0084 ***
Mean dependent var 0.021869 S.D. dependent var 0.028849
Sum squared resid 0.001939 S.E. of regression 0.019691
R-squared 0.709119 Adjusted R-squared 0.534590
F(3, 5) 4.142585 P-value(F) 0.080028
Log-likelihood 158.8953 Akaike criterion -309.7905
Schwarz criterion -309.0016 Hannan-Quinn -311.4930
Hausman test -
Null hypothesis: OLS estimates are consistent
Asymptotic test statistic: Chi-square(3) = 8.75196
with p-value = 0.0327771
Weak instrument test -
Cragg-Donald minimum eigenvalue = 1.01031
Critical values for TSLS bias relative to OLS:
bias 5% 10% 20% 30%
value 0.00 0.00 0.00 0.00
Relative bias is probably less than 5%
#AUT
? tsls AUT_nom const AUT_lebh AUT_eduh AUT_inch ; const AUT_u5m AUT_flp \
AUT_urb
Model 3: TSLS, using observations 1980-2006 (T = 25)
Missing or incomplete observations dropped: 2
Dependent variable: AUT_nom
Instrumented: AUT_lebh AUT_eduh AUT_inch
Instruments: const AUT_u5m AUT_flp AUT_urb
coefficient std. error z p-value
-------------------------------------------------------
const -0.309716 1.83756 -0.1685 0.8662
AUT_lebh -2.92628 6.26590 -0.4670 0.6405
AUT_eduh -0.279713 0.585100 -0.4781 0.6326
AUT_inch 4.00008 9.75192 0.4102 0.6817
Mean dependent var 0.034323 S.D. dependent var 0.023440
Sum squared resid 0.010213 S.E. of regression 0.022053
R-squared 0.279293 Adjusted R-squared 0.176335
F(3, 21) 4.226184 P-value(F) 0.017401
Log-likelihood 348.1448 Akaike criterion -688.2897
Schwarz criterion -683.4142 Hannan-Quinn -686.9374
Hausman test -
Null hypothesis: OLS estimates are consistent
Asymptotic test statistic: Chi-square(3) = 8.63549
with p-value = 0.0345511
Weak instrument test -
Cragg-Donald minimum eigenvalue = 0.302956
Critical values for TSLS bias relative to OLS:
bias 5% 10% 20% 30%
value 0.00 0.00 0.00 0.00
Relative bias is probably less than 5%
? tsls AUT_real const AUT_lebh AUT_eduh AUT_inch ; const AUT_u5m AUT_flp \
AUT_urb
Model 4: TSLS, using observations 1980-2006 (T = 25)
Missing or incomplete observations dropped: 2
Dependent variable: AUT_real
Instrumented: AUT_lebh AUT_eduh AUT_inch
Instruments: const AUT_u5m AUT_flp AUT_urb
coefficient std. error z p-value
-------------------------------------------------------
const 1.75753 2.11185 0.8322 0.4053
AUT_lebh 5.68873 7.20121 0.7900 0.4295
AUT_eduh 0.415856 0.672438 0.6184 0.5363
AUT_inch -9.00844 11.2076 -0.8038 0.4215
Mean dependent var 0.005327 S.D. dependent var 0.018095
Sum squared resid 0.013489 S.E. of regression 0.025345
R-squared 0.065870 Adjusted R-squared -0.067577
F(3, 21) 0.271789 P-value(F) 0.845025
Log-likelihood 346.4188 Akaike criterion -684.8376
Schwarz criterion -679.9621 Hannan-Quinn -683.4853
Hausman test -
Null hypothesis: OLS estimates are consistent
Asymptotic test statistic: Chi-square(3) = 3.86739
with p-value = 0.276144
Weak instrument test -
Cragg-Donald minimum eigenvalue = 0.302956
Critical values for TSLS bias relative to OLS:
bias 5% 10% 20% 30%
value 0.00 0.00 0.00 0.00
Relative bias is probably less than 5%
#BEL
? tsls BEL_nom const BEL_lebh BEL_eduh BEL_inch ; const BEL_u5m BEL_flp \
BEL_urb
Model 5: TSLS, using observations 1980-2006 (T = 7)
Missing or incomplete observations dropped: 20
Dependent variable: BEL_nom
Instrumented: BEL_lebh BEL_eduh BEL_inch
Instruments: const BEL_u5m BEL_flp BEL_urb
coefficient std. error z p-value
-------------------------------------------------------
const 0.976154 0.673408 1.450 0.1472
BEL_lebh 1.66878 8.15217 0.2047 0.8378
BEL_eduh 0.574319 0.697224 0.8237 0.4101
BEL_inch -3.69605 9.40962 -0.3928 0.6945
Mean dependent var 0.044285 S.D. dependent var 0.023588
Sum squared resid 0.002907 S.E. of regression 0.031127
R-squared 0.438459 Adjusted R-squared -0.123081
F(3, 3) 0.904151 P-value(F) 0.532032
Hausman test -
Null hypothesis: OLS estimates are consistent
Asymptotic test statistic: Chi-square(3) = inf
with p-value = nan
Weak instrument test -
Cragg-Donald minimum eigenvalue = 0.0691543
Critical values for TSLS bias relative to OLS:
bias 5% 10% 20% 30%
value 0.00 0.00 0.00 0.00
Relative bias is probably less than 5%
? tsls BEL_real const BEL_lebh BEL_eduh BEL_inch ; const BEL_u5m BEL_flp \
BEL_urb
Model 6: TSLS, using observations 1980-2006 (T = 7)
Missing or incomplete observations dropped: 20
Dependent variable: BEL_real
Instrumented: BEL_lebh BEL_eduh BEL_inch
Instruments: const BEL_u5m BEL_flp BEL_urb
coefficient std. error z p-value
-------------------------------------------------------
const 0.804548 0.555790 1.448 0.1477
BEL_lebh 4.41749 6.72830 0.6566 0.5115
BEL_eduh 0.556920 0.575445 0.9678 0.3331
BEL_inch -6.60878 7.76612 -0.8510 0.3948
Mean dependent var 0.012329 S.D. dependent var 0.019752
Sum squared resid 0.001980 S.E. of regression 0.025691
R-squared 0.671723 Adjusted R-squared 0.343445
F(3, 3) 1.019353 P-value(F) 0.493899
Hausman test -
Null hypothesis: OLS estimates are consistent
Asymptotic test statistic: Chi-square(3) = inf
with p-value = nan
Weak instrument test -
Cragg-Donald minimum eigenvalue = 0.0691543
Critical values for TSLS bias relative to OLS:
bias 5% 10% 20% 30%
value 0.00 0.00 0.00 0.00
Relative bias is probably less than 5%
#CYP
? tsls CYP_nom const CYP_lebh CYP_eduh CYP_inch ; const CYP_u5m CYP_flp \
CYP_urb
13 years, 4 months
Re: [Gretl-users] Gretl crash
by Allin Cottrell
On Thu, 25 Nov 2010, Bruno Thiago Tomio wrote:
> A problem occurs when I try to run a unit root test (ADF) with
> constant and trend with the attached file. I am running the last
> version under WinXP. The data is compiled as panel data.
Can you tell us precisely what tests you are doing? I tried the
following and could not provoke a problem (or find any evidence of
memory corruption using valgrind):
open Pasta1.xls
setobs Object Year --panel-vars
adf 0 X --ct
adf 0 Xgrowth --ct
adf 3 X --ct
adf 3 Xgrowth --ct
Allin Cottrell
13 years, 4 months
Gretl crash
by Bruno Thiago Tomio
Hello,
A problem occurs when I try to run a unit root test (ADF) with constant and
trend with the attached file. I am running the last version under WinXP. The
data is compiled as panel data.
Please what is wrong?
Many thanks,
Bruno
13 years, 4 months
Drop permanently observations
by Giuseppe Vittucci
Here is my problem.
I need to drop *permanently* observations.
The command smpl (--restrict) simply creates a sub sample but it does
not change the dataset range.
This causes the full range to reappear each time I use smpl --full in
the loops.
And I cannot save a restricted version of the dataset and then reopen it
cause I loose the session (in particular matrices, vectors and scalars).
Is there a way to really drop observations? I need the "reverse" of
addobs.
Thanks
Giuseppe
13 years, 5 months
Restricted VAR estimation
by Ofer Cornfeld
Hi,
What is the best way to estimate in Gretl restricted VAR?
That is, how to estimate a VAR models with some conditions imposed on the
parameters estimated?
With kind regards,
Ofer Cornfeld
TAU
13 years, 5 months
Re: [Gretl-users] WLS residuals
by Allin Cottrell
On Wed, 17 Nov 2010, Summers, Peter wrote:
> In trying to answer questions from some of my students, I did
> the following (using the data set "food.gdt" from Hill et al):
>
> 1) define x1 = 1/x
> 2) wls x1 y 0 x, save residuals uhat1
> 3) define ystar = y/sqrt(x), cstar = 1/sqrt(x), xstar =
> x/sqrt(x) (ie, wls "by hand")
> 4) ols ystar cstar xstar, save residuals uhat2
> (I actually used the gui, but replicated this with the console)
>
> I was surprised to find that uhat1 and uhat2 are different, even
> though the coefficient estimates are exactly the same. In fact,
> uhat2 = cstar*uhat1. Is this intended?
Yes, it's intended. The residuals we report from WLS are the same
as those reported by R. They represent the deviations of actual y
from the predictions for y generated by the coefficients of the
weighted model applied to actual X.
The following script illustrates the point.
<script>
open data4-1
series w = 1/sqft
wls w price 0 sqft
series u1 = $uhat
series chk1 = price - ($coeff[1] + $coeff[2]*sqft)
series ystar = price/sqrt(sqft)
series cstar = 1/sqrt(sqft)
series xstar = sqft/sqrt(sqft)
ols ystar cstar xstar
series u2 = $uhat
series chk2 = ystar - ($coeff[1]*cstar + $coeff[2]*xstar)
print u1 chk1 u2 chk2 -o
# compare R, if available
foreign language=R --send-data
y <- gretldata[,"price"]
x <- gretldata[,"sqft"]
w <- gretldata[,"w"]
model <- lm(y ~ x, weights=w)
model
model$residuals
end foreign
</script>
Allin Cottrell
13 years, 5 months
comparing two models
by remi sorama
Dear all,
I have a gretl session with four variables: y1,x1,y2,x2 and also two
regression models of y's on respective x's. I would like to compare these
two models with the Chow test, but it seems I have to reorganize my data
into two long vectors of y and x first. How can I do it?
Or isn't it the same as solving these two equations as a system and
applying Tests -> Linear restrictions, typing b[1,1]-b[2,1]=0 etc?
And what if I have not two but three firms?
Many thanks,
Rem
13 years, 5 months
